To install the cpan manager, open up the command line found in start - programs - Strawberry Perl. From this Command Line simply type in the below commands.
Wait for the installation to finish, then enter the next command to install the Parse::RecDescent module.
Finally Parse::RecDescent states in its readme, that it requires the Text::Balanced module, so simply install that as well.
Basically this should get you started, whether you want to just learn how to install these modules, or came here to learn how to make your own language definition files. If the latter is the case, then you can use the below batch script to create the JS files used by SHJS.
perl sh2js.pl html.lang > sh_html.js @pause
Finally be careful that you got the right version of the SHJS source package, as older versions of sh2js.pl appears to create incompatible files.